Re: st: RE: Comparing regression fits of 2 different DVs to the same IV,

[Steve Samuels <sjsamuels@gmail.com>]

Oops, the last line should be "estat bootstrap, all"

S.

Jared:

1) -mmregress-, part of the -mcd- package ("findit"), uses an algorithm
superior to that in -rreg- (higher breakdown point) and, unlike -rreg-, 
is resistant to high leverage observations. Be sure to set the seed first.


2) When -suest- doesn't work, you can usually rig a -bootstrap- to
replace it. See:
http://www.stata.com/support/faqs/statistics/bootstrapped-samples-
guidelines/. Note that for valid confidence intervals, as opposed to
SEs, you do need 100's if not 1000's of replicates, I believe.

*************CODE BEGINS*************
sysuse auto, clear
capture program drop myboot

program myboot, rclass
   rreg trunk length
   return scalar l1 = _b[length]
   rreg weight length
return scalar l2 = _b[length]
end

bootstrap (r(l1)-r(l2)) , reps(50): myboot
estat bootstrap all
**************CODE ENDS**************


http://www.stata.com/support/faqs/statistics/bootstrapped-samples-
guidelines/
Note that for valid confidence intervals, as opposed to SEs, you do need
100's if not 1000's of replicates, I believe.



Steve

> 
> On Nov 29, 2012, at 5:24 PM, Jared Saletin wrote:
> 
> Dear Al,
> 
> Thanks for the follow up. Do you happen to know of a solution for robust regression coefficients? We've been using rreg to down-weight outliers in the dataset, so we'd like to ideally compare those coefficients.
> 
> I searched around and it seems like SUEST following RREG should do the trick, but that there's an issue in the RREG code that prevents SUEST from working:
> 
> c.f. : http://www.stata.com/statalist/archive/2012-09/msg00964.html
> 
> 

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